By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...

Phillips (1986) provides asymptotic theory for regressions that relate nonstationary time series including those integrated of order 1, I(1). A practical implication of related literature on spurious regression is that one cannot trust the usual confidence intervals. Therefore it is recommended...

We study the problem of estimating the parameters of a linear median regression without any assumption on the shape of the error distribution -- including no condition on the existence of moments -- allowing for heterogeneity (or heteroskedasticity) of unknown form, noncontinuous distributions,...

We propose a test for the key identification and estimation conditions in Regression Discontinuity (RD) designs. We characterize the set of sharp testable implications of the RD assumptions, for which the proposed test is uniformly valid under a class of distributions, is consistent against all...

The limit distribution of conventional test statistics for predictability may depend on the degree of persistence of the predictors. Therefore, diverging results and conclusions may arise because of the different asymptotic theories adopted. Using differencing transformations, we introduce a new...

In observational studies, confounding variables that affect both the exposure and an outcome of interest are a general concern. It is well known that failure to control for confounding variables adequately can worsen inference on an exposure's effect on outcome. In this paper, we explore how...

This paper proposes a generalized repeat sales regression (GRSR) that uses repeat sales from the entire market, in which properties may have heterogeneous value appreciation processes, to estimate price indices for not only the entire market, but also submarkets or customized portfolios of...

We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the...

This paper provides a method to construct simultaneous confidence bands for quantile and quantile effect functions for possibly discrete or mixed discrete-continuous random variables. The construction is generic and does not depend on the nature of the underlying problem. It works in conjunction...

In the regression discontinuity design, it is common practice to asses the credibility of the design by testing whether the means of baseline covariates do not change at the cutoff (or threshold) of the running variable. This practice is partly motivated by the stronger implication derived by...